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【风险管理基础&定量】FRM一级每日试题精选

发表时间:2015-03-23 来源:金程frm 告诉小伙伴:
【编者按】【风险管理基础&定量】FRM一级每日试题精选

【风险管理基础&定量】FRM一级每日试题精选

Assume the annual volatility of the market is 30% and a stock';s annual volatility is 50%. The beta of the stock is 1.5. What are the correlation and covariance, respectively, between the stock and the market?

Correlation             Covariance

  1. 0.9                    0.135
  2. 0.135                  0.9
  3. 0.9                    Cannot be determined with the information given
  4. 0.135                  Cannot be determined with the information given

Answer: A

Explanation:

相关知识点:Covariance and Correlation

Covariance is the expected value of the product of the deviations of two random variables from their respective expected values.

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